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    Option hedging for small investors under liquidity costs
    13 years 11 months ago
    Option hedging for small investors under liquidity costs
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    Following the framework of C¸etin, Jarrow and Protter [4] we study the problem of super-replication in presence of liquidity costs under additional restrictions on the gamma of th...
    Umut Çetin, H. Mete Soner, Nizar Touzi
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